A prediction model of financial crises in emerging markets: 1970 - 2009
DOI:
https://doi.org/10.15381/pc.v19i1.11017Keywords:
Financial crises, Emerging markets, Prediction models, Early warning systemsAbstract
In this paper we describe one of the most important models on financial crisis prediction in emerging markets: signal approach model; we also present the results of the test of this model using monthly data from 1970 until first quarter of 2009. The suggested model has been a re-estimation of Kaminsky, Lizondo and Reinhart’s approach (1998). We obtain an identification of the main predictors of financial crisis (in the empiric sense of the present work) understood as an approximation to the probability of crisis in the short term.
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Copyright (c) 2014 Alfonso Leonel Ayala Loro
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